Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market
Yanliang Zhang, Fanhao Li, Yue Gong
Available Online March 2018.
- https://doi.org/10.2991/iccese-18.2018.204How to use a DOI?
- capital asset pricing; Fama-French three-factor model; Fama-French five-factor Model
- Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched. From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model. It provides reference for the capital asset pricing model in China.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Yanliang Zhang AU - Fanhao Li AU - Yue Gong PY - 2018/03 DA - 2018/03 TI - Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market BT - 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018) PB - Atlantis Press SP - 894 EP - 898 SN - 2352-5398 UR - https://doi.org/10.2991/iccese-18.2018.204 DO - https://doi.org/10.2991/iccese-18.2018.204 ID - Zhang2018/03 ER -